Abstract
The Capital Asset Pricing Model concludes that the efficient investment strategies are always combinations of the risk-free asset and the market portfolio. However, in the presence of asymmetries in returns, minimizing standard deviations may no longer be equivalent to maximizing expected utilities, and this may require a change in the measure of risk to be used. In such a case, the previous combinations of the risk-free asset and the market portfolio do not necessarily have to remain optimal, and a natural question arises: given their return, how much their risk excess is? This paper fully addresses and answers this question and also presents computationally tractable procedures for calculating the mentioned risk excess.